International Real Estate Review

2016 ◽  
Vol 19 (3) ◽  
pp. 371-409
Author(s):  
Yuen-Meng Wong ◽  
Keyword(s):  
Real Estate ◽  
Interest Rates ◽  
Turn Of The Millennium ◽  
Market Returns ◽  
Stock Market Returns ◽  
Fully Integrated ◽  
Empirical Tests ◽  
Market Capitalisation ◽  
Domestic Stock

Real estate investment trusts (REITs) are a niche alternative investment class. Since their introduction in Asia at the turn of the millennium, the REIT market in the region has experienced phenomenal growth. In particular, the Malaysia REIT (M-REIT ) market capitalisation has seen a spectacular growth of close to 20 folds from its inception in 2005 until the end of 2013. This paper chronicles the development of the M-REIT market which is rather unique as it provides a common platform for the existence of both conventional and Islamic REITs. Empirical tests are also conducted to uncover the returns characteristics of the M-REIT market. M-REIT returns are significantly correlated with domestic stock markets but only weakly correlated with changes in interest rate, with long-term proxies having a stronger impact than short-term proxies. The results from a correlation analysis are further confirmed by regression testing which shows that M-REIT returns are most significantly driven by domestic stock market returns while only mildly by changes in interest rates and not significantly driven by returns in regional REIT markets. These findings possibly imply that M-REITs (i) subscribe more to the characteristics of equity than those of bonds, (ii) are not 'pure' yield-play instruments, (iii) are often regarded as long-term investment, and (iv) may not be fully integrated with global and regional REIT markets.

LONG-TERM MEMORY IN EMERGING MARKETS: EVIDENCE FROM THE CHINESE STOCK MARKET

2006 ◽  
Vol 05 (03) ◽  
pp. 495-501 ◽  
Author(s):  
CHAOQUN MA ◽  
HONGQUAN LI ◽  
LIN ZOU ◽  
ZHIJIAN WU
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Emerging Market ◽  
Long Term Memory ◽  
Chinese Stock Market ◽  
Market Returns ◽  
Stock Market Returns ◽  
Term Memory ◽  
Rescaled Range Analysis

The notion of long-term memory has received considerable attention in empirical finance. This paper makes two main contributions. First one is, the paper provides evidence of long-term memory dynamics in the equity market of China. An analysis of market patterns in the Chinese market (a typical emerging market) instead of US market (a developed market) will be meaningful because little research on the behaviors of emerging markets has been carried out previously. Second one is, we present a comprehensive research on the long-term memory characteristics in the Chinese stock market returns as well as volatilities. While many empirical results have been obtained on the detection of long-term memory in returns series, very few investigations are focused on the market volatility, though the long-term dependence in volatility may lead to some types of volatility persistence as observed in financial markets and affect volatility forecasts and derivative pricing formulas. By means of using modified rescaled range analysis and Autoregressive Fractally Integrated Moving Average model testing, this study examines the long-term dependence in Chinese stock market returns and volatility. The results show that although the returns themselves contain little serial correlation, the variability of returns has significant long-term dependence. It would be beneficial to encompass long-term memory structure to assess the behavior of stock prices and to research on financial market theory.

An Economic Ranking of the US Presidents, 1789–2009: A Data-Based Approach

2012 ◽  
Vol 45 (04) ◽  
pp. 596-604 ◽  
Author(s):  
Mark Zachary Taylor
Keyword(s):  
Interest Rates ◽  
Grade Point Average ◽  
The United States ◽  
Balance Of Payments ◽  
Market Returns ◽  
Grade Point ◽  
Stock Market Returns ◽  
Partisan Bias ◽  
The Us ◽  
Presidential Performance

AbstractHow relatively good or bad were the economic performances of our past presidents? The answers to this question remain unclear. Most evaluations of presidential performance cloud the issue with partisan bias and subjective judgments or mix economics together with other policy areas. To address these shortcomings, this article uses new data from the Measuring Worth Project to calculate the relative economic rankings of the United States presidents who served from 1789 until 2009. It analyzes up to 220 years of data on economic growth, unemployment, inflation, government debt, balance of payments, income inequality, currency strength, interest rates, and stock market returns to estimate an economic grade point average for each president. Then, these estimates are used to test for correlations with other variables to generate hypotheses regarding the conditions for superior and inferior economic performance.

Stock Market Reaction to Corporate Real Estate Divestitures and Acquisitions during the Global Financial Crisis

2015 ◽  
Vol 73 (5) ◽  
Author(s):  
Annie Wong Ping Eng ◽  
Janice YM Lee ◽  
Muhammad Najib Mohamed Razali ◽  
Mat Naim Abdullah @ Mohd Asmoni ◽  
Izran Sarrazin Mohammad
Keyword(s):  
Financial Crisis ◽  
Real Estate ◽  
Stock Market ◽  
Global Financial Crisis ◽  
Market Returns ◽  
Stock Market Returns ◽  
Stock Market Reaction ◽  
Corporate Real Estate ◽  
The Global Financial Crisis ◽  
Real Estate Assets

Real estate divestitures and acquisitions (D&A) are conducted as part of corporate restructuring. This study aims to fill the knowledge gap on abnormal stock market returns (AR) toward D&A activities during the Global Financial Crisis (GFC) in a developing country. Malaysian listed non-real estate companies that conducted D&A during the GFC are used as sample. Event study is applied to determine AR surrounding D&A announcements within (-10day, +10day) event window. Results for both D&A announcements shows insignificant AR on and around announcement date (-1 to +1). For pre-announcement, divesting (acquiring) companies obtain negative (positive) AR, signifying that the market does not favor (favor) divestitures (acquisitions) due to leakage of information. The outcome of post-announcement proves that divesting companies continue to experience negative ARs, although most divesting companies were paid premium prices. However, acquiring companies experience significant and negative post-announcement AR. This is probably due to the price premium which most acquiring companies paid exceeding valuation for their acquisitions. In summary, the market disapproves divestitures in general and acquisitions of real estate assets exceeding their valuations during economic recessions.  

scholarly journals The Sensitivity of Central Bank Interest Rate on Commercial Banks’ Stock Market Returns in Kenya

2021 ◽  
Vol 7 (5) ◽  
pp. p72
Author(s):  
Micah Odhiambo Nyamita ◽  
Martine Ogola Dima
Keyword(s):  
Interest Rate ◽  
Central Bank ◽  
Interest Rates ◽  
Stock Returns ◽  
Commercial Banks ◽  
Secondary Data ◽  
Market Returns ◽  
Cross Sectional ◽  
Stock Market Returns ◽  
Panel Data Regression

Commercial banks occupy a significant position in the transmission of monetary policy through the financial market. Furthermore, commercial banks have assets and liabilities which are interest rate sensitive, and their stock returns are believed to be particularly responsive to changes in the central bank base lending rates. Therefore, this study investigated the sensitivity of central bank interest rate changes on stock returns of listed commercial banks in Kenya for nine year period, from 2006 to 2014. The study used a hybrid of cross sectional and longitudinal quantitative surveys method, applying GMM panel data regression model on the secondary data from the 11 listed commercial banks in Kenya. The study found out that there is a significant strong positive sensitivity of average annual changes in central bank interest rates (CBR) on the stock returns of the listed commercial banks in Kenya, from 2006 to 2014, measured using CAPM. Hence, listed commercial banks’ managers in Kenya should monitor, keenly, the changes in the central bank interest rates and make investor related decisions accordingly.

scholarly journals Do Higher-Rated or Enhancing ESG of Firms Enhance Their Long–Term Sustainability? Evidence from Market Returns in Korea

2020 ◽  
Vol 12 (7) ◽  
pp. 2664 ◽  
Author(s):  
Yeonwoo Do ◽  
Sunghwan Kim
Keyword(s):  
Stock Market ◽  
Firm Value ◽  
Stock Price ◽  
Abnormal Returns ◽  
Market Returns ◽  
Short Term ◽  
Stock Market Returns ◽  
Listed Firms ◽  
The Third

In this study, we investigate the effects of the level and changes in environmental, social and corporate governance (ESG) rating, an index developed to represent a firm’s long-term sustainability, on the stock market returns of Korea Composite Stock Price Index (KOSPI) listed firms over the period 2011–2018. We find that the changes in ESG ratings have statistically significant short-term effects on their abnormal returns. However, their impacts on short-term abnormal returns decrease some days after the disclosure and become negative in the third year. The results imply that investors in the Korean stock market do not view corporate social responsibility activities as a means of supporting their long-term sustainability, judging from the firm value for a long period after their rating. Rather, based on the effects of the changes on coefficient signs over the period—positive in the year and the year after, no effects in the following year, and negative in the third year and later—we can infer that the short-term oriented market sentiments of investors might worsen their long-term stock performances, thus deteriorating their sustainability and growth opportunities.

Is the impact of the ECB Monetary Policy on EMU stock market returns asymmetric?

2009 ◽  
pp. 145-180
Author(s):  
Oreste Napolitano
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Stock Markets ◽  
Asymmetric Effect ◽  
Market Returns ◽  
Stock Market Returns ◽  
Fully Integrated ◽  
Markov Switching Models ◽  
Dynamic Relationship ◽  
The Impact

This paper explore, using Markov switching models, the dynamic relationship between stock market returns and the monetary policy innovation in 11 EUM countries and, for five of them, at each single industry portfolios. It also investigates the possibility of asymmetric effects of the ECB decision when stock markets are not fully integrated. The findings indicate that there is statistically significant relationship between policy innovations and stock markets returns. The findings from country size and industry portfolios indicate that monetary policy has larger asymmetric effect on the industry portfolios of big countries (Italy, France and Germany) compared to the same sectors of small countries (Netherlands and Belgium).

scholarly journals NONLINEAR RELATIONSHIPS AND VOLATILITY SPILLOVERS AMONG HOUSE PRICES, INTEREST RATES AND STOCK MARKET PRICES

2016 ◽  
Vol 20 (4) ◽  
pp. 371-383 ◽  
Author(s):  
Hsiang-Hsi LIU ◽  
Sheng-Hung CHEN
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Goodness Of Fit ◽  
House Prices ◽  
House Price ◽  
Smooth Transition ◽  
Market Returns ◽  
Market Prices ◽  
Stock Market Returns ◽  
Volatility Spillovers

This paper addresses the interaction between interest rates and the significant increases in both Taiwanese house and stock market prices seen in recent years. Changes in house prices impact banks’ nonperforming loans, whereas changes in interest rates directly influence the ability of individuals and businesses to pay loan interest, accentuating the co-movements between house and stock mar-ket prices. We investigate the nonlinear relations and volatility spillovers among house prices, interest rates and stock market prices using monthly data from January 1985 to March 2009 for Taiwan. We find that the Smooth Transition Vector Error Correction GARCH (STVEC-GARCH) model has the best forecasting ability based on goodness of fit tests while showing a nonlinear and co-integrated relation among the three variables. Specifically, house price leads stock market returns when the interest rate is led by either house price or stock market returns. The volatility of stock market returns has significant impacts on interest rates, implying that borrowers should be aware of stock market fluctuations and thus strengthen their risk management because of unexpected changes.

scholarly journals IPO Waves: How Market Performances Influence The Market Timing Of IPO?

2015 ◽  
Vol 31 (5) ◽  
pp. 1679
Author(s):  
Firas Batnini ◽  
Moez Hammami
Keyword(s):  
Stock Market ◽  
Initial Public Offerings ◽  
Market Timing ◽  
Autocorrelation Analysis ◽  
Market Returns ◽  
Stock Market Returns ◽  
Public Offerings ◽  
One Year ◽  
The Impact

The goal of this paper is to study the impact of stock markets on Initial Public Offerings (IPOs). Several studies have shown that the need for financing is not the main trigger for an IPOfavorable market conditions may play a more important part. This work prove the existence of a significate relationship between past stock market returns and the number of IPOs. Before setting the date for an IPO, managers analyze long term financial market yields, a bullish stock market over a six month/ one year period encourages IPOs activities. In the other hand, even a negative performance but over a two-year period may have the same effect. They expect a stock market inversion. These results were obtained by autocorrelation analysis and count regression.

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